债券
公司债券
经济
信用风险
衡平法
货币经济学
债券市场
风险溢价
短期利率
金融经济学
套利
财务
法学
古生物学
生物
背景(考古学)
政治学
作者
Christopher L. Culp,Yoshio Nozawa,Pietro Veronesi
摘要
We present a novel empirical benchmark for analyzing credit risk using “pseudo firms” that purchase traded assets financed with equity and zero-coupon bonds. By no-arbitrage, pseudo bonds are equivalent to Treasuries minus put options on pseudo firm assets. Empirically, like corporate spreads, pseudo bond spreads are large, countercyclical, and predict lower economic growth. Using this framework, we find that bond market illiquidity, investors' overestimation of default risks, and corporate frictions do not seem to explain excessive observed credit spreads but, instead, a risk premium for tail and idiosyncratic asset risks is the primary determinant of corporate spreads. (JEL E23, E32, E44, G13, G24, G32)
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